The package AER accompanying the forthcoming book "Applied
Econometrics with R" by Christian Kleiber and me in the
Springer useR! series has (finally!) been released to CRAN:
http://CRAN.R-project.org/package=AER
It contains some new R functionality
o tobit regression convenience interface (to "survival")
o instrumental variables regression (two-stage least squares)
o (over-) dispersion test (via auxiliary regression)
but the main feature are ~100 data sets taken from popular
econometrics text books and the data archives of JAE (Journal
of Applied Econometrics) and JBES (Journal of Business and
Economic Statistics). Extensive examples are provided with
the data sets, reproducing many of the analyses in the
books/papers they were taken from. In particular, all data
sets from the following books with many of the associated
examples are provided:
o "Econometrics" (Baltagi, 2002)
o "Econometric Analysis" (Greene, 2003)
o "Introduction to Econometrics" (Stock & Watson, 2007)
Until the book becomes available in autumn 2008, we will add
vignettes to the package reproducing the examples from our
book.
Best wishes,
Z